Mac: I currently use Mail Act-On to quickly move and archive messages from my mail inbox to the correct folder, but Matt Gemmell found a built-in way to do this in Lion's Mail.app with the favourite Mailboxes feature.
First, turn on Show Favorites Bar under view. Then you'll be able to pin mailboxes to the bar as a shortcut, and quickly go to the shortcut with the Command + # key, with the # corresponding to the number of the mailbox. To move a message to that mailbox, hit Command + Control + #. This doesn't work with smart mailboxes, but it should with everything else.